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- W2901926467 abstract "Frequent batch auction (FBA) markets do not necessarily improve liquidity relative to continuous-time trading. HFTs submit quotes that become stale if the market clears before new information becomes public, and may be sniped by other privately-informed HFTs. Less frequent auctions enhance learning by allowing for more public news: liquidity improves. For infrequent enough auctions, a frequency wall emerges as lower adverse selection is offset by lower liquidity demand by impatient traders. Beyond this wall, longer auction intervals do not improve liquidity anymore. However, higher HFT speed stimulates price competition between arbitrageurs, allowing for a lower spread." @default.
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- W2901926467 date "2018-10-23" @default.
- W2901926467 modified "2023-09-23" @default.
- W2901926467 title "Speed and Learning in High-Frequency Auctions" @default.
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